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The Biggest Expiration Ever: What You Need to Know
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ticker lesson
Breakdown
0:00lesson
Options expirations and volatility compression
- Biggest expiration outside of quarterly opex ever
- Volume keeps doing this
- Impact of expirations matters more than ever
- Macro events like midterms and interest rates influence flows
- Important flows coming up this week
2:00lesson
Vulma and veta in options expirations
- Vulma is percent change in v
- Veta is per day change in vega
- Vega compression as time approaches expiration
- Dealers get longer vega as time passes
- Vulma is structural phenomenon
4:02lesson
Calendar spreads and volatility dynamics
- Dealers sell vega as expiration approaches
- Calendar spreads are great now
- Short O expiration, long Nove expiration
- Second O disappears, everyone is long
- V compression reflexively compresses more
5:50lesson
Macro vs structural risks and dispersion moves
- Midterm elections and postmidterm realities
- Contested election in back half of year
- Push pull between macro and structural risks
- Structural mechanical flows at odds
- Driving dispersion moves and market volatility
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